Delphine Lautier (Université Paris Dauphine - PSL), Julien Ling (Collège de France) et Bertrand Villeneuve (Université Paris Dauphine - PSL) :

Titre : Rediscovering Price Discovery

Abstract : We clarify the mixed signals from alternative price discovery metrics using VECM estimates. Based on a classical approach–a parametrized structural data-generating process that is fully identified–we rigorously reinterpret standard measures and unveil dead ends. We also suggest the adoption of the Covariance Information Share (CovIS), a measure compatible with correlated data. Our theoretical contributions enhance existing literature and include formal propositions, complemented by methodological clarification through illustrative examples. These examples derive from simulated data for validation, and reanalysis of prior studies, with and without data samples. Additionally, we provide an annotated R code for replication.

 The paper is available on SSRN.